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diplays
2004 Sep 19
0
StructTS; measurement variance zero
Hello everybody,
I'm investigating several time series with StructTS, and for one series
I get zero variance for the measurement errors (local level model).
I've read in Brian Dipleys article on time series in the R-Newsletter
June/2002, that the airline passengers data set yields the same result.
Having the variance of epsilon as zero, I would expect the residuals (y
- Z a) to be zero. The substraction of data and fitted values for the
states in fact yields zero, but the o...